Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0290
Annualized Std Dev 0.1611
Annualized Sharpe (Rf=0%) -0.1797

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1013
Quartile 1 -0.0042
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0001
Quartile 3 0.0043
Maximum 0.1915
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0101
Skewness 0.4762
Kurtosis 36.0100

Downside Risk

Close
Semi Deviation 0.0073
Gain Deviation 0.0081
Loss Deviation 0.0086
Downside Deviation (MAR=210%) 0.0123
Downside Deviation (Rf=0%) 0.0073
Downside Deviation (0%) 0.0073
Maximum Drawdown 0.5778
Historical VaR (95%) -0.0127
Historical ES (95%) -0.0245
Modified VaR (95%) -0.0080
Modified ES (95%) -0.0080
From Trough To Depth Length To Trough Recovery
1999-02-05 2008-12-09 NA -0.5778 5567 2477 NA
1999-01-21 1999-01-22 1999-02-03 -0.0154 10 2 8
1999-01-11 1999-01-11 1999-01-12 -0.0077 2 1 1
1999-01-13 1999-01-13 1999-01-14 -0.0077 2 1 1
1999-01-15 1999-01-15 1999-01-19 -0.0077 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 0.8 -2.6 -2.5 -0.9 0 0 -0.9 0 1 3.1 0 -2.1
2000 2.1 1.1 1.1 0 0 0 0 1 -1 3.1 1 0 8.6
2001 -0.2 0 0 0.6 0.9 -0.6 -0.5 0.5 0.8 1.3 -0.6 0 2.2
2002 -1.2 -0.8 0.2 0.5 0.2 0.3 0.3 1 -0.2 0.5 0.5 0.2 1.3
2003 -0.2 0.6 0.2 0.8 0 0.6 -1.1 0.3 0.8 -0.5 0.2 0 1.7
2004 0.6 -0.3 0.1 0.8 0.2 1.3 0.3 -0.4 0 -0.1 -0.3 0.6 2.7
2005 0 0 0 0 0 1.1 0 0.8 0.3 -0.5 0 0.5 2.2
2006 -0.2 -0.3 0 -0.2 0 0.3 0 0.2 0.2 0.2 0.2 -0.5 -0.1
2007 0.6 -0.5 0.2 -0.2 -0.3 0.6 -0.3 1.4 0.6 0.2 1.1 -0.2 3.3
2008 -0.2 -0.5 0.3 0.8 0 0.5 0 1.2 -5.4 1.4 -1 7.1 4
2009 -0.2 2.4 0.5 2.3 2.7 1 3.2 -0.4 0.2 -0.5 0.8 0.3 13
2010 1.1 0.4 0 -0.5 0.5 0.3 0.5 0.8 1.1 -0.2 0.8 1.6 6.6
2011 0 0.5 -1 0.8 0.5 0 0.2 2.8 -0.2 -1.4 -2.6 0.6 0.1
2012 0.4 0.8 0.6 0.8 0.2 1.6 0.6 0.2 0 0.8 0.2 1 7.3
2013 0.6 -0.4 0 0 -0.4 0.2 -1 -0.2 0.4 0.4 0.2 -0.8 -1
2014 0.4 -0.2 -0.8 0.2 0.6 0 0 0 0 0 -0.4 -2.2 -2.4
2015 -0.4 0.8 -0.2 0.2 -0.2 -0.2 0.6 -1.1 -0.7 0.4 -0.9 0.2 -1.3
2016 0.5 1.2 0 0 0 0.7 0.2 0 0 0.5 0.2 1.3 4.7
2017 -0.4 -0.2 0.9 0.2 -0.4 -0.2 0 0 0 0.4 -0.4 0.6 0.4
2018 0.6 -0.8 0.4 0.2 0.2 0.2 -0.9 -0.4 0.2 0.2 0.2 -0.2 0
2019 0.9 0.5 0 0.2 -1.3 0.2 0 0.2 0.7 -0.2 -0.2 -0.2 0.7
2020 0.2 -4.2 -8.3 1.2 0.9 1.5 0.5 1.4 0.2 -0.2 0 1.7 -5.5
2021 -0.2 1.4 0.2 NA NA NA NA NA NA NA NA NA 1.4

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart